Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0961 |
| Annualized Std Dev | 0.2209 |
| Annualized Sharpe (Rf=0%) | 0.4350 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4833.0000 |
| NAs | 1.0000 |
| Minimum | -0.1336 |
| Quartile 1 | -0.0056 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1034 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0139 |
| Skewness | -0.5383 |
| Kurtosis | 9.2846 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0094 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.5941 |
| Historical VaR (95%) | -0.0208 |
| Historical ES (95%) | -0.0336 |
| Modified VaR (95%) | -0.0219 |
| Modified ES (95%) | -0.0452 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2011-02-11 | -0.5941 | 843 | 355 | 488 |
| 2020-02-21 | 2020-03-18 | 2020-08-27 | -0.4172 | 132 | 19 | 113 |
| 2002-04-17 | 2002-10-09 | 2003-09-02 | -0.3165 | 347 | 123 | 224 |
| 2011-05-02 | 2011-10-03 | 2012-09-13 | -0.2764 | 347 | 108 | 239 |
| 2015-06-24 | 2016-02-11 | 2016-11-22 | -0.2600 | 359 | 161 | 198 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | 0.1 | 1.2 | 0.3 | 0.4 | 0.7 | -2.9 | -1.4 | -0.4 | 0.7 | 0.8 | -0.4 | 1.1 | 0.2 |
| 2003 | 1.5 | 0.2 | 0.3 | 0.5 | 2 | 0.4 | -0.8 | 0.5 | 1.3 | 0.1 | 1 | -0.4 | 6.8 |
| 2004 | 0.1 | 1.1 | 0.7 | -1 | 0.2 | -0.7 | 0.6 | 0.6 | 1.4 | 0.3 | 1.2 | 0.1 | 5 |
| 2005 | 0.7 | 0.6 | -0.3 | 0.2 | 0.6 | 0.2 | 0.1 | 0.3 | 0.9 | 0 | 1.8 | -0.3 | 5 |
| 2006 | 0.2 | 1.4 | 0.2 | -0.5 | 1.7 | 0.6 | -1 | 0.6 | -0.5 | -1.4 | -0.2 | -0.6 | 0.5 |
| 2007 | 1 | -0.4 | 0.2 | 0.2 | 0.5 | -0.2 | 0.3 | 1.3 | 1.6 | -2.6 | 0.7 | -0.5 | 2.1 |
| 2008 | 3 | -2.5 | 3.2 | 1.4 | 0.7 | 0.1 | 0 | -1 | -0.7 | 3.5 | -11 | 2.6 | -1.6 |
| 2009 | -2.1 | -0.5 | 1.9 | 0.1 | 3.1 | 1.4 | 0.2 | -2.1 | -3.4 | -2.9 | 1.4 | -1.2 | -4.4 |
| 2010 | 1.5 | 1.8 | 0.9 | -2.2 | -2.9 | -0.7 | 0.3 | 3.5 | 0.5 | -0.2 | 2.2 | -0.5 | 4 |
| 2011 | 1.8 | -2 | 0.5 | 0.4 | -2.7 | 1.6 | -0.5 | -1.8 | -3 | -3.3 | -0.4 | -0.4 | -9.4 |
| 2012 | 2.1 | 0.7 | 0 | 0.2 | -3.1 | 2.8 | -1.1 | 0.4 | 0 | 1.8 | -0.1 | 1.9 | 5.8 |
| 2013 | 0.8 | 0.3 | -1.1 | -1.9 | -1 | 1.5 | 1.7 | -1.3 | 1.3 | 0 | -0.1 | 0.4 | 0.5 |
| 2014 | -0.6 | -0.2 | 1.2 | 0.2 | -0.3 | 0.9 | -0.2 | 0.5 | -1.5 | 1.4 | -1.5 | -0.7 | -1 |
| 2015 | -1.6 | -0.4 | -0.3 | 0.6 | 0.2 | 0.4 | 0.2 | -2.6 | -0.1 | -0.2 | 0.8 | -0.8 | -3.7 |
| 2016 | -0.1 | 2.1 | 0.4 | -0.7 | 0.6 | 0.3 | -0.2 | 0.1 | 0.9 | -1 | -0.7 | -0.4 | 1.4 |
| 2017 | -0.2 | 1.5 | 0.1 | 0.5 | 1.7 | 0.1 | 0.2 | 0.4 | 0.3 | -0.3 | -0.4 | -0.6 | 3.3 |
| 2018 | 0.2 | -0.5 | 1.2 | 0.3 | 0.8 | 0 | 0 | 0.3 | -0.9 | 2 | 0.7 | 1 | 5.2 |
| 2019 | 0.4 | 0.7 | 1.1 | -0.9 | -1.1 | 0.6 | -1.3 | -0.1 | -1.7 | 1.4 | -0.6 | 0.3 | -1.4 |
| 2020 | -1.7 | -1 | -6 | -3.4 | 1.5 | 0 | -0.5 | 1 | 2 | -2 | 0.7 | -0.2 | -9.5 |
| 2021 | 2.1 | 3.1 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
